MATLAB Derivatives Pricing
A MATLAB version of derivatives pricing based on C++ Design Patterns and Derivatives Pricing by Mark Joshi.
This implementation makes use of Dependency Injection for constructing the pricing application. The Chebfun library is used for pricing some vanilla options as an example of how different pricing engines may be plugged in to the application.
Citar como
Matt McDonnell (2024). MATLAB Derivatives Pricing (https://github.com/mattmcd/mdpr), GitHub. Recuperado .
Compatibilidad con la versión de MATLAB
Compatibilidad con las plataformas
Windows macOS LinuxCategorías
- Computational Finance > Financial Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Equity Derivatives >
Etiquetas
Agradecimientos
Inspirado por: Chebfun - current version, MATLAB Dependency Injection
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